Question
The current price of a non-dividend-paying stock is $50. Over the next six months it is expected to rise to $62.5 or fall to $40.
The current price of a non-dividend-paying stock is $50. Over the next six months it is expected to rise to $62.5 or fall to $40. Assume the risk-free rate is zero. What is the risk-neutral probability of that the stock price will be $62.5?
| 0.44 | ||
| 0.55 | ||
| 0.33 | ||
| 0.22 |
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Computational Finance Using C And C #
Authors: George Levy DPhil University Of Oxford
1st Edition
0750669195, 978-0750669191
